Optimization and Systems Theory Seminar
Friday May 28, 2010, 11.00-12.00, Room 3733, Lindstedtsvägen 25

Jacek Gondzio  University of Edinburgh, Scotland , UK

Matrix-free interior point method

A redesign of Interior Point Methods (IPMs) for LP/QP problems will be addressed. Its objective is to avoid an explicit access to the problem data and to allow only matrix-vector products to be executed with the Hessian and Jacobian and its transpose. A use of iterative methods and a choice of suitable preconditioner to solve reduced Newton systems arising in optimization with IPMs will be discussed. A new fast preconditioner will be presented. Its numerical properties will be analysed and its use will be illustrated by computational results obtained for a collection of small to medium scale optimization problems (with no more than one million variables and with matrices limited to at most 10 million of nonzero elements).

Calendar of seminars Last update: March 11, 2010.